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Ahmet Duran

Assistant Professor

Department of Mathematics, Istanbul Technical University, 34469 Maslak, Istanbul

Email: aduran  [no spam]  itu (dot) edu (dot) tr    Phone: +90 (212) 285-3273

Ph.D, Mathematics, University of Pittsburgh

M.S., Computer & Information Sciences, University of Delaware

M.A., Mathematics, University of Pittsburgh

M.S., Mathematics, Middle East Technical University (METU), Turkey

B.S., Mathematics, METU

You can download research papers from http://ssrn.com/author=683507 or from this web site below

In the News

• Bloomberg HT, June 23, 2011, 12:04, International Conference on Mathematical Finance and Economics

• Bloomberg HT, June 29, 2011, 16:03, Behavioral approaches also give direction to financial markets

• Bloomberg HT, June 29, 2011, 16:24, Economic crisis in Greece

• Bloomberg HT, June 29, 2011, 16:43, Status of world economy

• Among key papers in risk, my paper with M.J. Bommarito, selected by Quantitative Finance journal and the 17^th Annual Risk Minds, the World’s largest and most prestigious risk management conference, 6-10 December, 2010, Geneva

• Cover story: Mind games, an interview with Professor Caginalp about quantitative behavioral finance, Wilmott Sept 2009 (mainstream quantitative finance magazine), pp. 52-53

Main Research Interests Mathematical finance and economics, quantitative behavioral finance, data analysis, computational finance, optimization, high performance computing, numerical analysis, mathematical modeling, ordinary, partial, and stochastic differential equations, networking algorithms and simulation

• Assistant Professor, Mathematics, University of Michigan at Ann Arbor, 2006 - 2010

• Teaching Assistant/Fellow, Mathematics, University of Pittsburgh, 2000 - 2001, 2003 - 2006

• Graduate Student Researcher, Mathematics, University of Pittsburgh, (May - Aug.) 2005, 2006

• Teaching Assistant, Computer & Information Sciences, University of Delaware, (June - Aug.) 2003

• Research Assistant, Computer & Information Sciences, University of Delaware, 2001 - 2003

• Researcher/Programmer, Electronics & Cryptology, TUBITAK-UEKAE, 1997 - 2000

• Research Assistant, Mathematics, Middle East Technical University, Turkey, 1995 - 1997

Professional Activities

• Chair, International Conference on Mathematical Finance and Economics, ITU, Istanbul, Turkey, July 6-8, 2011; Editor of Abstracts Book and Proceedings CD

• Minisymposium organizer, Advances in Financial Mathematics, World Congress of Nonlinear Analysts (WCNA), Orlando, FL, July 2008

• Invited session chair, Finance, SIAM Conference on Computational Science & Engineering, Costa Mesa, CA, Feb. 19-23, 2007

• Minisymposium organizer, New Horizons in Quantitative Methods for Finance and Economics, SIAM Conference on Financial Mathematics and Engineering, Boston, MA, July 2006

• Referee for US National Science Foundation; Quantitative Finance; Mathematics of Operations Research; Optimization Methods and Software; US Department of Energy; Mobile Ad Hoc Wireless Networks in the Journal of Communications and Networks (JCN); Ad Hoc Networks; IEEE Wireless Communications & Networking Conference (WCNC)

• Book reviewer for Pearson Addison-Wesley in numerical analysis

• Book reviewer for MIT Press in quantitative finance

• Book reviewer for Wiley-Blackwell, Fabozzi Series

Refereed Publications

1. A. Duran, Stability analysis of asset flow differential equations, Applied Mathematics Letters, 24(4), 471-477, 2011, doi: 10.1016/j.aml.2010.10.044, download

2. A. Duran and M.J. Bommarito, A profitable trading and risk management strategy despite transaction cost,  Quantitative Finance, 11(6), 2011, pp. 829-848, doi: 10.1080/14697680903449815, among key papers in risk, download

3. M.J. Bommarito and A. Duran, Spectral analysis of time-dependent market-adjusted return correlation matrix, 7 pages, forthcoming, 2010

4. L.S. Kabbani, G. A. Escobar, B. Knipp, C.B. Deatrick, A. Duran, G.R. Upchurch, L.M. Napolitano, APACHE III score on ICU admission predicts hospital mortality after open thoraco-abdominal and open abdominal aortic aneurysm repair, Annals of Vascular Surgery, 24(8), 2010, pp. 1060-1067, doi:10.1016/j.avsg.2010.07.011

5. A. Duran, Sensitivity analysis of asset flow differential equations and volatility comparison of two related variables, Numerical Functional Analysis and Optimization, 30(1), 2009, pp. 82-97, download, cited by 1

6. A. Duran and G. Caginalp, Parameter optimization for differential equations in asset price forecasting, Optimization Methods & Software, 23(4), 2008, pp. 551-574, download, cited by 3

7. A. Duran and G. Caginalp, Overreaction diamonds: Precursors and aftershocks for significant price changes, Quantitative Finance, 7(3), 2007, pp. 321-342, download, cited by 6

8. A. Duran and G. Caginalp, Data mining for overreaction in financial markets, Proceedings of the IASTED International Conference on Software Engineering and Applications (SEA), Phoenix, AZ, vol. 467, Nov. 14-16, 2005, pp. 28-35, download, cited by 4

9. A. Duran and C. Shen, Mobile ad hoc p2p file sharing, Proceedings of IEEE Wireless Communications and Networking Conference (WCNC), Atlanta, GA, vol. 1, Mar. 21-25, 2004, pp. 114-119, google, cited by 19

10. A. Duran, B. D. Saunders and Z. Wan, Hybrid algorithms for rank of sparse matrices, Proceedings of the SIAM International Conference on Applied Linear Algebra (SIAM-LA), Williamsburg, VA, July 15-19, 2003, 12 pages, cited by 2

Other Publications

1. Overreaction Behavior and Optimization Techniques in Mathematical Finance, PhD thesis, University of Pittsburgh, Pittsburgh, PA, Aug. 1st 2006, 128 pages, cited by 4

2. L. Cheng, A. Duran, S.N. Predoiu, and A. Yu, Asset correlation implied by historical default data, working paper, University of Pittsburgh, December 2003, after completion of the project for "Risk Metrics", 22 pages

3. A. Duran, D. Saunders, and Z. Wan, Rank of sparse {0, 1} matrices, poster, East Coast Computer Algebra Day, Clemson University, Clemson, SC, Apr. 5, 2003

4. A. Duran and B.D. Saunders, GenBLAS: Basic linear algebra subroutines in C++ over any fields, poster, East Coast Computer Algebra Day, Association for Computing Machinery (ACM) SIGSAM Bulletin, Communications in Computer Algebra 36(3), pp. 6, New York, NY, 2002

5. Asymptotic Behavior of Solutions of Semilinear Heat Equations with Source, Master's thesis, Middle East Technical University, Ankara, Turkey, Sep. 1998, 101 pages

Conference Presentations

• Daily return discovery in financial markets, Workshop on Data, Text, Web, and Social Network Mining, University of Michigan, Ann Arbor, MI, April 23, 2010

• Sensitivity analysis to AFDE and transitions between microeconomic stability and non-equilibrium states, Joint Midwest Numerical Analysis Day & SIAM Great Lakes Numerical PDEs Spring Conference, Wayne State University, Detroit, MI, April 17-18, 2009

• Sensitivity analysis of asset flow differential equations and a new volatility approach, AMS session on Financial Mathematics, Joint Mathematics Meetings, Washington, DC, January 7, 2009

• A profitable risk management despite transaction cost, SIAM Conference on Financial Mathematics and Engineering, New Brunswick, NJ, Nov. 21-22, 2008

• Quantitative behavioral finance and out-of-sample prediction via asset flow differential equations, Advances in Financial Mathematics, World Congress of Nonlinear Analysts, Orlando, FL, July 2008

• Parameter optimization algorithm for differential equations in market return prediction, SIAM Conference on Computational Science & Engineering, Costa Mesa, CA, Feb. 19-23, 2007

• Deviation model for financial overreaction, AMS Special Session on Financial and Actuarial Mathematics, Cincinnati, OH, October 21-22, 2006

• Overreaction and optimization in stock markets, SIAM Conference on Financial Mathematics and Engineering, Boston, MA, July 9-12, 2006

• A comparison of numerical optimization techniques for financial markets, SIAM Annual Meeting, Boston, MA, July 10-14, 2006

• Differential equations and computational optimization for closed end funds, AMS Joint Mathematics Meetings, San Antonio, Texas, Jan. 12-15, 2006

• Data mining for overreaction in financial markets, IASTED-SEA, Phoenix, AZ, Nov. 14-16, 2005

• Overreaction and risk for closed end funds, SIAM Conference on Mathematics for Industry: Challenges and Frontiers (MI), Detroit, MI, Oct. 24-26, 2005

• Mobile ad hoc p2p file sharing, IEEE Wireless Communications and Networking Conference, Atlanta, 21-25 March 2004

• GenBLAS: Basic linear algebra subroutines in C++ over any fields, ECCAD, New York, NY, 2002  

• Michael J. Bommarito

• Burhaneddin İzgi